07 Mar – 11 Mar 2016

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Physical bank bills moved up another couple of points this week in a continuation of moves which were kicked off by higher-than-expected Q4 GDP figures released in early March. Bank bills finished the week 2bps higher at 2.33%, which is the same as the 3 month BBSW rate that finished up 1bp.

Swap-to-bond spreads fell again over the week. Interest rates rose across the board but swap rates tended to rise a little less than bond rates. 3 year spreads fell 4bps to 18bps, 5 year spreads fell 2bps to 26bps and 10 year spreads fell 4bps to 8bps.

The 1 year swap rate rose 4bps to 2.21%, the 3 year rate rose 8bps to 2.21%, the 5 year rate rose 10bps to 2.47% and the 10 year rate rose 8bps to 2.76%.

bills-swaps-11mar-yield
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.100.010.03
90d2.330.020.04
180d2.460.030.05
1 Year2.210.040.10
3 Year2.210.090.16
5 Year2.470.090.15
10 Year2.760.090.08
15 Year2.980.070.05
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